Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0588
Annualized Std Dev 0.1926
Annualized Sharpe (Rf=0%) -0.3054

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2713
Quartile 1 -0.0039
Median 0.0000
Arithmetic Mean -0.0002
Geometric Mean -0.0002
Quartile 3 0.0044
Maximum 0.1709
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0121
Skewness -2.2958
Kurtosis 71.9879

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0089
Loss Deviation 0.0119
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.8580
Historical VaR (95%) -0.0161
Historical ES (95%) -0.0299
Modified VaR (95%) -0.0092
Modified ES (95%) -0.0092
From Trough To Depth Length To Trough Recovery
1999-01-07 2020-03-18 NA -0.858 5587 5333 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.8 0.8 0.8 -0.7 0.7 -1.4 0 0.8 2.6 -0.9 3 4.7
2000 1 1 0.9 0 1 0 0 1.8 0 -0.9 1 -1.6 4.1
2001 0.7 -0.3 0.1 0.6 0.4 -0.3 0.4 0.1 -0.9 -0.1 0.4 0 1.2
2002 0.4 -0.7 -1.6 0.1 0 0.3 -0.2 0.5 0.5 0 -0.5 0.5 -0.5
2003 0 0.9 0.4 0.2 0 0.5 2.6 0.2 0.4 0 0.2 0.4 5.9
2004 0.2 0.2 -0.2 -0.2 0.2 -0.2 0.2 0.6 0 -0.4 0.2 0.4 1
2005 0.2 -0.2 0.8 -0.2 0.2 -0.2 -0.2 0.4 0 0.2 0.6 -0.2 1.4
2006 0 0.4 0 0 0 0.2 -0.2 0.6 -0.4 -0.4 -0.3 0 -0.1
2007 0.7 -0.5 0.5 0.2 0.4 0.4 -0.2 0.4 0.8 -0.6 1.1 0 3.2
2008 1 -0.4 0 0.6 0.2 -0.7 -0.9 -0.5 2.5 1.5 -2 2.4 3.8
2009 -2.9 0 1 1.5 1.2 0.3 0.8 -2.1 -0.3 -3.2 -0.3 0.3 -3.9
2010 -0.3 0 0.8 0.8 -0.8 -0.8 -1.6 0 0.5 1.1 1.4 0.8 1.9
2011 0.8 -0.6 0.6 0 -0.3 0.6 0 -1.2 -1.3 -0.3 0.7 -0.3 -1.4
2012 0.6 0.6 0.6 0.6 -0.7 1 -0.1 0 0.6 0.2 0.1 0.2 3.9
2013 0.5 0 -0.4 -0.3 -0.3 0 0.2 0.1 0.2 0.2 1.2 0.4 1.9
2014 0.1 0.3 0.1 0 0.2 0.4 -0.2 0.3 -0.6 0.7 -0.5 -0.2 0.6
2015 -0.1 -0.2 -0.4 0.2 0.1 -0.1 0.1 -1.8 -0.4 -0.2 0.4 0.3 -2
2016 0.4 1.2 1.8 -1 -0.3 0 -0.1 0.1 0.6 -0.7 -0.9 1.9 3
2017 0 0.6 0.4 0.5 0.4 -0.2 0.1 0 0.6 0.7 -0.4 0.1 2.9
2018 0.6 -1.8 0.7 0.4 0 0.5 -0.3 -0.1 0.9 2.1 0.2 1.5 4.7
2019 1.9 0.3 1.5 0.3 -0.1 0.2 0.3 0 0.5 1 -0.2 -0.3 5.4
2020 0.2 -6.5 -6.4 -1.8 1.7 0.9 -1.2 0 0.1 -1.2 1.5 0 -12.4
2021 0.1 0.1 0.8 NA NA NA NA NA NA NA NA NA 1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  35.3 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  35.6 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  35.6 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  35.1 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  34.8 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  35.3 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart